1) sometimes futures offer too much leverage
2) many ETFs cover sectors not covered by futures
3) they are quick and easy
4) good for swing trades - fees matter less here.

with that said, i really don't get why institutions (who do size, and may better be served by futures) do such large volume on the SPY and QQQQ etf's .... maybe someone can help me out on that one (besides the obvious answer of arbitrage).